Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0033 |
| Annualized Std Dev | 0.1014 |
| Annualized Sharpe (Rf=0%) | 0.0322 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3549.0000 |
| NAs | 1.0000 |
| Minimum | -0.0435 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0032 |
| Maximum | 0.0382 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0064 |
| Skewness | 0.1264 |
| Kurtosis | 4.3078 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0045 |
| Gain Deviation | 0.0046 |
| Loss Deviation | 0.0044 |
| Downside Deviation (MAR=210%) | 0.0103 |
| Downside Deviation (Rf=0%) | 0.0044 |
| Downside Deviation (0%) | 0.0044 |
| Maximum Drawdown | 0.4059 |
| Historical VaR (95%) | -0.0094 |
| Historical ES (95%) | -0.0143 |
| Modified VaR (95%) | -0.0097 |
| Modified ES (95%) | -0.0140 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-10-31 | 2015-06-05 | NA | -0.4059 | 2362 | 904 | NA |
| 2008-12-18 | 2009-04-06 | 2009-11-27 | -0.1365 | 238 | 74 | 164 |
| 2008-03-18 | 2008-08-15 | 2008-10-23 | -0.1205 | 154 | 106 | 48 |
| 2009-12-01 | 2010-05-03 | 2010-08-03 | -0.0876 | 169 | 105 | 64 |
| 2011-03-18 | 2011-04-06 | 2011-07-20 | -0.0763 | 86 | 14 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.8 | 0.2 | -0.2 | -0.2 | 0 | -0.4 | 0 | -0.7 | 0.9 | -1.1 | 1 | 0.1 |
| 2008 | -0.1 | 1.5 | -2.6 | -0.5 | 0.2 | 0.1 | 0.1 | 0.7 | 0.3 | -0.2 | 2.5 | -0.4 | 1.6 |
| 2009 | 0.1 | 0.8 | 0.3 | -0.6 | -1.4 | -0.3 | 0.9 | 0.2 | -0.1 | 1.6 | -0.3 | -0.7 | 0.6 |
| 2010 | -0.5 | -0.3 | -0.4 | 0.2 | -0.1 | 0.9 | 0.5 | -0.4 | 0.2 | -0.2 | -0.5 | 0.5 | -0.2 |
| 2011 | 0.9 | -0.1 | -1.1 | 0.5 | 0.8 | -0.4 | -0.2 | -0.3 | -0.5 | -0.2 | -0.1 | 0.8 | 0.1 |
| 2012 | 0 | 0.2 | -0.5 | -0.4 | 0.2 | -0.6 | -0.5 | 0.4 | 0 | -0.4 | -0.4 | -0.8 | -2.6 |
| 2013 | -1.5 | -0.9 | 0.9 | 0.1 | 0.3 | -0.4 | -1.6 | 0 | 0.5 | -0.4 | -0.3 | -0.2 | -3.5 |
| 2014 | 0.6 | 0.3 | -0.5 | -0.1 | -0.1 | -0.3 | 0.3 | -0.4 | 0.6 | -2.7 | 0.3 | -0.2 | -2.1 |
| 2015 | 0.7 | -0.1 | 0.2 | -0.7 | -0.6 | -0.6 | 0.1 | 1.2 | 0.1 | 0.4 | 0.2 | 0.3 | 1.4 |
| 2016 | 0 | -1 | 0.8 | 1.5 | 1.1 | 0.7 | -0.3 | 0.3 | -0.4 | 0.8 | 0.4 | -0.3 | 3.6 |
| 2017 | -0.3 | -1.2 | 0.4 | -0.3 | -0.6 | -0.4 | -0.1 | -0.3 | -0.1 | -0.4 | 0.9 | 0.2 | -2.1 |
| 2018 | -0.1 | 0.4 | 0.6 | -0.5 | -0.7 | -0.2 | 0.2 | -0.1 | -0.3 | 0.1 | -0.1 | 0.6 | -0.3 |
| 2019 | -0.5 | -0.4 | -0.6 | 0 | 1.1 | -0.6 | 1.4 | 0.2 | 0.4 | -0.1 | 0.1 | 0.1 | 1.1 |
| 2020 | 0.5 | 1.8 | 0.4 | 0.5 | 0.3 | 0.4 | -1.1 | 0 | 0 | -0.1 | 0.1 | 0 | 2.8 |
| 2021 | -0.2 | -0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-13 82.7 SPY 145. 0.0084 -0.0016 0.0099 0.0469 0.142 0.246 0.298 GLD 65.8 2.60e-3 0.0162
2 2007-02-14 83.1 SPY 146. 0.0066 0.0028 0.0185 0.0533 0.152 0.259 0.311 GLD 66.4 8.00e-3 0.0269
3 2007-02-15 84.0 SPY 146. 0.0013 0.0054 0.0194 0.0521 0.141 0.266 0.299 GLD 66.4 6.00e-4 0.0136
4 2007-02-16 83.9 SPY 146. -0.0005 0.0124 0.0224 0.0438 0.137 0.254 0.300 GLD 66.4 -8.00e-4 0.0036
5 2007-02-20 83.5 SPY 146. 0.0021 0.0181 0.0225 0.043 0.131 0.263 0.317 GLD 65.3 -1.58e-2 -0.0055
6 2007-02-21 82.9 SPY 146. -0.0004 0.0091 0.0253 0.0399 0.133 0.267 0.342 GLD 67.3 3.02e-2 0.0219
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
